Discussion Papers 2016

CIRJE-F-1020	"The Impact of Auction Choice on Revenue in Treasury Bill Auctions - An Empirical Evaluation"
Author Name	Marszalec, Daniel
Date	August 2016
Full Paper	PDF file
Remarks	Forthcoming in International Journal of Industrial Organization, Volume 53, 2017, Pages 215-239, ISSN 0167-7187, https://doi.org/10.1016/j.ijindorg.2017.05.005.

Abstract
I evaluate whether uniform price or discriminatory auctions are revenue-superior for selling Treasury bills. To this end, I apply two structural econometric models, Hortacsu and McAdams (2010) and Fevrier, Preget and Visser (2002), to a dataset on Polish zerocoupon bonds. My secondary aim is to analyze mutual inconsistencies in prediction from these models. I nd that both agree on the revenue-superiority of discriminatory auctions, by between 0.01% and 1.5%; the models' predictions are contradictory in only 7% of auctions. The large-scale agreement of two vastly different models gives condence that the conclusions are data-driven, and not a modeling artifact.
Keywords: Auctions, Treasury Bills, Divisible Goods, Structural Estimation

Abstract

I evaluate whether uniform price or discriminatory auctions are revenue-superior for selling Treasury bills. To this end, I apply two structural econometric models, Hortacsu and McAdams (2010) and Fevrier, Preget and Visser (2002), to a dataset on Polish zerocoupon bonds. My secondary aim is to analyze mutual inconsistencies in prediction from these models. I nd that both agree on the revenue-superiority of discriminatory auctions, by between 0.01% and 1.5%; the models' predictions are contradictory in only 7% of auctions. The large-scale agreement of two vastly different models gives condence that the conclusions are data-driven, and not a modeling artifact.

Keywords: Auctions, Treasury Bills, Divisible Goods, Structural Estimation